Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0821
Annualized Std Dev 0.1811
Annualized Sharpe (Rf=0%) 0.4534

Row

Daily Return Statistics

Close
Observations 4206.0000
NAs 1.0000
Minimum -0.1253
Quartile 1 -0.0038
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0053
Maximum 0.1084
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0114
Skewness -0.3472
Kurtosis 15.1928

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0082
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0129
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5279
Historical VaR (95%) -0.0166
Historical ES (95%) -0.0284
Modified VaR (95%) -0.0160
Modified ES (95%) -0.0192
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2012-12-18 -0.5279 1265 312 953
2020-02-13 2020-03-23 2020-08-12 -0.3530 126 27 99
2018-09-24 2018-12-24 2019-09-11 -0.2118 243 64 179
2014-12-24 2016-02-11 2016-07-14 -0.1519 391 285 106
2018-01-29 2018-03-23 2018-09-13 -0.1057 159 39 120

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA -0.2 0.8 1.2 0.6 1.5 -0.3 3.6
2005 0.4 0.4 -0.7 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.5 0.9 -0.6 0.5
2006 0.4 0.6 -0.2 -0.3 1 0 -0.7 0.3 -0.2 -0.5 -0.4 -0.4 -0.4
2007 0.2 -0.4 -0.2 0.2 0.4 -0.5 0.8 1.2 1.4 -2.2 0.1 -1 0
2008 1.5 -2.3 2.7 1.6 0.2 0.1 -0.5 -1.1 -0.5 2.5 -6.9 1.4 -1.6
2009 -2.7 -1.8 2 0.1 2.9 0.6 -0.3 -1.6 -2.1 -2.4 1 -1 -5.4
2010 1.2 0.8 0.8 -1.1 -1.5 -0.3 0.1 2.9 0.2 0.3 2.2 0 5.8
2011 1.5 -1.2 0.4 0.3 -1.6 1.5 -0.4 -1.1 -2 -2.7 -0.2 -0.3 -5.7
2012 1.1 0.4 0.5 0.7 -2.5 2.7 -0.2 0.6 0.1 1.1 -0.1 1.4 5.9
2013 0.8 0.5 -0.3 -0.4 -1.6 0.1 0.9 -0.5 0.8 0.3 0.2 0.3 1.3
2014 -0.3 0.3 0.4 -0.2 0.4 0.7 0 0.1 -0.9 1.3 -0.3 -1.1 0.5
2015 -1.9 -0.2 -0.6 0.9 0.1 0.5 -0.1 -2.8 0.2 -0.5 1 -1.1 -4.5
2016 0.4 2.2 0.6 -0.8 0.2 0.1 0 0 0.7 -0.8 -0.5 -0.5 1.7
2017 0.5 1.2 -0.1 0.3 0.7 0.2 0.1 0.2 0.2 -0.1 -0.4 -0.4 2.4
2018 0.3 -1.5 1.1 -0.1 0.8 -0.1 0.2 0.2 0.6 1 0.5 0.9 4.2
2019 0.3 0.7 1.1 -0.1 -1.2 0.7 -1.3 0.2 -1 1.3 -0.4 0.2 0.5
2020 -2.1 -0.9 -4.5 -2.7 0.6 0.6 1.5 0.8 0.3 -1.4 1.1 0.4 -6.2
2021 0.9 2.3 0.1 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-02  59.5 SPY    113. -0.0005 -8.40e-3  -0.0022  -0.0079    0.131  -0.0713   -0.153 <NA>     NA    NA       NA
2 2004-07-06  59.1 SPY    112. -0.0088 -1.38e-2  -0.0018  -0.024     0.133  -0.0789   -0.168 <NA>     NA    NA       NA
3 2004-07-08  59   SPY    111. -0.0071 -2.72e-2  -0.0286  -0.0303    0.102  -0.0912   -0.193 <NA>     NA    NA       NA
4 2004-07-09  58.9 SPY    112.  0.0028 -1.07e-2  -0.0273  -0.0253    0.111  -0.0999   -0.198 <NA>     NA    NA       NA
5 2004-07-12  58.8 SPY    112.  0.0004 -9.70e-3  -0.0177  -0.0226    0.126  -0.0993   -0.198 <NA>     NA    NA       NA
6 2004-07-13  59.3 SPY    112.  0.0007 -3.00e-4  -0.0218  -0.0258    0.116  -0.0807   -0.198 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart